I definitely prefer physical copies, they suit me much better as a person. I'm okay with digital downloads if I can burn them onto a disk and store them somewhere away from my fragile, aging computer, but if they're tied to an account... Well, I really hate the idea that I could have the right to play my purchased games revoked at the will of whatever service I'm "buying" them from. I don't view it as that much more convenient either... There are many games I paid money for that I can no longer play because they were tied to a broken device or I lost a password to some account.
I guess that when I give somebody a large chunk of money, I expect to own something in return. I expect to hold it, stick it on a shelf, and be able to pick it up at any point in the future to play it again. If a guy who downloaded Fire Emblem: Awakening loses his 3DS (or if it's stolen), he will need to buy the game again. If/when I lose mine, I will be able to buy a new 3DS and keep on playing, right where I left off!
Finally, I really, honestly enjoy the experience of tracking down a game, driving to the store, chatting with the (sometimes not entirely awful) game store employees, trading a few old games to bump the price down, breaking the seal, flipping through the manual while I wait for the game to load... I don't view it as any more of a hassle than all the contrivances of downloadable games, like licencing issues, transfers, and download times.